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Automatic Differentiation and Interval Arithmetic for Estimation of Disequilibrium Models

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  • Jerrell, Max E

Abstract

Nonlinear estimation problems have a unknown number of stationary points. Interval arithmetic is a promising method that eliminates all but the global optimum. Automatic differentiation provides users with a convenient method of computing the gradient and Hessian of nonlinear functions these two can be combined to provide an efficient and convenient global optimization process. Citation Copyright 1997 by Kluwer Academic Publishers.

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  • Jerrell, Max E, 1997. "Automatic Differentiation and Interval Arithmetic for Estimation of Disequilibrium Models," Computational Economics, Springer;Society for Computational Economics, vol. 10(3), pages 295-316, August.
    • Handle: RePEc:kap:compec:v:10:y:1997:i:3:p:295-316
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    Cited by:

    1. Zilinskas, Julius & Bogle, Ian David Lockhart, 2006. "Balanced random interval arithmetic in market model estimation," European Journal of Operational Research, Elsevier, vol. 175(3), pages 1367-1378, December.
    2. Robert Cudeck, 2005. "Fitting Psychometric Models with Methods Based on Automatic Differentiation," Psychometrika, Springer;The Psychometric Society, vol. 70(4), pages 599-617, December.

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